National Instrument Mandatory Central Counterparty Clearing of Derivatives

Transcription

1 This document is an unofficial consolidation of all amendments to National Instrument Mandaty Central Counterparty Clearing of Derivatives, effective as of April 4, This document is f reference purposes only. The unofficial consolidation of the Instrument is not an official statement of the law. National Instrument Mandaty Central Counterparty Clearing of Derivatives PART 1 DEFINITIONS AND INTERPRETATION Definitions and interpretation 1. (1) In this Instrument local counterparty means a counterparty to a derivative if, at the time of execution of the transaction, either of the following applies: the counterparty is a person company, other than an individual, to which one me of the following apply: (ii) (iii) the person company is ganized under the laws of the local jurisdiction; the head office of the person company is in the local jurisdiction; the principal place of business of the person company is in the local jurisdiction; the counterparty is an affiliated entity of a person company referred to in paragraph and the person company is liable f all substantially all the liabilities of the counterparty; mandaty clearable derivative means a derivative within a class of derivatives listed in Appendix A; participant means a person company that has entered into an agreement with a regulated clearing agency to access the services of the regulated clearing agency and is bound by the regulated clearing agency s rules and procedures; regulated clearing agency means, in Alberta, New Brunswick, Newfoundland and Labrad, the Nthwest Territies, va Scotia, Nunavut, Prince Edward Island, Saskatchewan and Yukon, a person company recognized exempted from recognition as a clearing agency clearing house pursuant to the securities legislation of any jurisdiction of Canada,

2 in British Columbia, Manitoba and Ontario, a person company recognized exempted from recognition as a clearing agency in the local jurisdiction, and in Québec, a person recognized exempted from recognition as a clearing house; transaction means any of the following: entering into a derivative making a material amendment to, assigning, selling otherwise acquiring disposing of a derivative; the novation of a derivative, other than a novation with a clearing agency clearing house. (2) In this Instrument, a person company is an affiliated entity of another person company if one of them controls the other each of them is controlled by the same person company. (3) In this Instrument, a person company (the first party) is considered to control another person company (the second party) if any of the following apply: (d) the first party beneficially owns directly indirectly exercises control direction over securities of the second party carrying votes which, if exercised, would entitle the first party to elect a majity of the directs of the second party unless the first party holds the voting securities only to secure an obligation; the second party is a partnership, other than a limited partnership, and the first party holds me than 50% of the interests of the partnership; the second party is a limited partnership and the general partner of the limited partnership is the first party; the second party is a trust and a trustee of the trust is the first party. (4) In this Instrument, in Alberta, British Columbia, New Brunswick, Newfoundland and Labrad, the Nthwest Territies, va Scotia, Nunavut, Prince Edward Island, Saskatchewan and Yukon, derivative means a specified derivative as defined in Multilateral Instrument Derivatives: Product Determination. Application 2. This Instrument applies to,

3 in Manitoba, (ii) a derivative other than a contract instrument that, f any purpose, is prescribed by any of sections 2, 4 and 5 of Manitoba Securities Commission Rule Derivatives: Product Determination not to be a derivative, and a derivative that is otherwise a security and that, f any purpose, is prescribed by section 3 of Manitoba Securities Commission Rule Derivatives: Product Determination not to be a security, in Ontario, (ii) a derivative other than a contract instrument that, f any purpose, is prescribed by any of sections 2, 4 and 5 of Ontario Securities Commission Rule Derivatives: Product Determination not to be a derivative, and a derivative that is otherwise a security and that, f any purpose, is prescribed by section 3 of Ontario Securities Commission Rule Derivatives: Product Determination not to be a security, and in Québec, a derivative specified in section 1.2 of Regulation respecting derivatives determination, other than a contract instrument specified in section 2 of that regulation. In each other local jurisdiction, this Instrument applies to a derivative as defined in subsection 1(4) of this Instrument. This text box does not fm part of this Instrument and has no official status. PART 2 MANDATORY CENTRAL COUNTERPARTY CLEARING Duty to submit f clearing 3. (1) A local counterparty to a transaction in a mandaty clearable derivative must submit, cause to be submitted, the mandaty clearable derivative f clearing to a regulated clearing agency that offers clearing services in respect of the mandaty clearable derivative, if one me of the following applies to each counterparty: the counterparty is a participant of a regulated clearing agency that offers clearing services in respect of the mandaty clearable derivative, and

4 (ii) subscribes to clearing services f the class of derivatives to which the mandaty clearable derivative belongs; the counterparty (ii) is an affiliated entity of a participant referred to in paragraph, and has had, at any time after the date on which this Instrument comes into fce, a month-end gross notional amount under all outstanding derivatives exceeding $ excluding derivatives to which paragraph 7(1) applies; the counterparty (ii) is a local counterparty in any jurisdiction of Canada, other than a counterparty to which paragraph applies, and has had, at any time after the date on which this Instrument comes into fce, a month-end gross notional amount under all outstanding derivatives, combined with each affiliated entity that is a local counterparty in any jurisdiction of Canada, exceeding $ excluding derivatives to which paragraph 7(1) applies. (2) Unless paragraph (1) applies, a local counterparty to which paragraph (1) (1) applies is not required to submit a mandaty clearable derivative f clearing to a regulated clearing agency if the transaction in the mandaty clearable derivative was executed befe the 90 th day after the end of the month in which the month-end gross notional amount first exceeded the amount specified in subparagraph (1)(ii) (1)(ii), as applicable. (3) Unless subsection (2) applies, a local counterparty to which subsection (1) applies must submit a mandaty clearable derivative f clearing no later than the end of the day of execution if the transaction is executed during the business hours of the regulated clearing agency, the end of the next business day if the transaction is executed after the business hours of the regulated clearing agency. (4) A local counterparty to which subsection (1) applies must submit the mandaty clearable derivative f clearing in accdance with the rules of the regulated clearing agency, as amended from time to time.

5 (5) A counterparty that is a local counterparty solely pursuant to paragraph of the definition of local counterparty in section 1 is exempt from this section if the mandaty clearable derivative is submitted f clearing in accdance with the law of a feign jurisdiction to which the counterparty is subject, set out in Appendix B. tice of rejection 4. If a regulated clearing agency rejects a mandaty clearable derivative submitted f clearing, the regulated clearing agency must immediately notify each local counterparty to the mandaty clearable derivative. Public disclosure of clearable and mandaty clearable derivatives 5. A regulated clearing agency must do both of the following: publish a list of each derivative class of derivatives f which the regulated clearing agency offers clearing services and state whether each derivative class of derivatives is a mandaty clearable derivative; make the list accessible to the public at no cost on its website. PART 3 EXEMPTIONS FROM MANDATORY CENTRAL COUNTERPARTY CLEARING n-application 6. This Instrument does not apply to the following counterparties: (d) (e) (f) the government of Canada, the government of a jurisdiction of Canada the government of a feign jurisdiction; a crown cpation f which the government of the jurisdiction where the crown cpation was constituted is liable f all substantially all the liabilities of the cpation; a person company wholly owned by one me governments referred to in paragraph if the government governments are liable f all substantially all the liabilities of the person company; the Bank of Canada a central bank of a feign jurisdiction; the Bank f International Settlements; the International Monetary Fund.

6 Intragroup exemption 7. (1) A local counterparty is exempt from section 3, with respect to a mandaty clearable derivative, if all of the following apply: (d) the mandaty clearable derivative is between a counterparty and an affiliated entity of the counterparty and each of the counterparty and the affiliated entity are consolidated as part of the same audited consolidated financial statements prepared in accdance with accounting principles as defined in National Instrument Acceptable Accounting Principles and Auditing Standards; both counterparties to the mandaty clearable derivative agree to rely on this exemption; the mandaty clearable derivative is subject to a centralized risk management program reasonably designed to assist in moniting and managing the risks associated with the derivative between the counterparties through evaluation, measurement and control procedures; there is a written agreement between the counterparties setting out the terms of the mandaty clearable derivative between the counterparties. (2) later than the 30 th day after a local counterparty first relies on subsection (1) in respect of a mandaty clearable derivative with a counterparty, the local counterparty must deliver electronically to the regulat securities regulaty authity a completed Fm F1 Intragroup Exemption. (3) later than the 10 th day after a local counterparty becomes aware that the infmation in a previously delivered Fm F1 Intragroup Exemption is no longer accurate, the local counterparty must deliver cause to be delivered electronically to the regulat securities regulaty authity an amended Fm F1 Intragroup Exemption. Multilateral ptfolio compression exemption 8. A local counterparty is exempt from section 3, with respect to a mandaty clearable derivative resulting from a multilateral ptfolio compression exercise, if all of the following apply: the mandaty clearable derivative is entered into as a result of me than 2 counterparties changing terminating and replacing existing derivatives;

7 (d) (e) the existing derivatives do not include a mandaty clearable derivative entered into after the effective date on which the class of derivatives became a mandaty clearable derivative; the existing derivatives were not cleared by a clearing agency clearing house; the mandaty clearable derivative is entered into by the same counterparties as the existing derivatives; the multilateral ptfolio compression exercise is conducted by an independent third-party. Recdkeeping 9. (1) A local counterparty to a mandaty clearable derivative that relied on section 7 8 with respect to a mandaty clearable derivative must keep recds demonstrating that the conditions referred to in those sections, as applicable, were satisfied. (2) The recds required to be maintained under subsection (1) must be kept in a safe location and in a durable fm f a period of except in Manitoba, 7 following the date on which the mandaty clearable derivative expires is terminated, and in Manitoba, 8 following the date on which the mandaty clearable derivative expires is terminated. PART 4 MANDATORY CLEARABLE DERIVATIVES Submission of infmation on derivatives clearing services provided by a regulated clearing agency 10. later than the 10 th day after a regulated clearing agency first offers clearing services f a derivative class of derivatives, the regulated clearing agency must deliver electronically to the regulat securities regulaty authity a completed Fm F2 Derivatives Clearing Services, identifying the derivative class of derivatives.

8 PART 5 EXEMPTION Exemption 11. (1) The regulat the securities regulaty authity may grant an exemption to this Instrument, in whole in part, subject to such conditions restrictions as may be imposed in the exemption. (2) Despite subsection (1), in Ontario, only the regulat may grant an exemption. (3) Except in Alberta and Ontario, an exemption referred to in subsection (1) is granted under the statute referred to in Appendix B of National Instrument Definitions opposite the name of the local jurisdiction. PART 6 TRANSITION AND EFFECTIVE DATE Transition regulated clearing agency filing requirement 12. later than May 4, 2017, a regulated clearing agency must deliver electronically to the regulat securities regulaty authity a completed Fm F2 Derivatives Clearing Services, identifying all derivatives classes of derivatives f which it offered clearing services on April 4, Transition certain counterparties submission f clearing 13. A counterparty specified in paragraph 3(1) to which paragraph (3)(1) does not apply is not required to submit a mandaty clearable derivative f clearing to a regulated clearing agency until October 4, Effective date 14. (1) This Instrument comes into fce on April 4, (2) In Saskatchewan, despite subsection (1), if these regulations are filed with the Registrar of Regulations after April 4, 2017, these regulations come into fce on the day on which they are filed with the Registrar of Regulations.

9 APPENDIX A to National Instrument Mandaty Central Counterparty Clearing of Derivatives Mandaty Clearable Derivatives (Section 1(1)) Interest Rate Swaps Type Fixed-tofloat Fixed-tofloat Fixed-tofloat Fixed-tofloat Floating Settlement Maturity CDOR CAD 28 days to 30 LIBOR USD 28 days to 50 EURIBOR EUR 28 days to 50 LIBOR GBP 28 days to 50 Basis LIBOR USD 28 days to 50 Basis EURIBOR EUR 28 days to 50 Basis LIBOR GBP 28 days to 50 Overnight swap Overnight swap Overnight swap Overnight swap CORRA CAD 7 days to 2 FedFunds USD 7 days to 3 EONIA EUR 7 days to 3 SONIA GBP 7 days to 3 Settlement type Optionality tional type

10 Fward Rate Agreements Type Fward rate agreement Fward rate agreement Fward rate agreement Floating Settlement Maturity LIBOR USD 3 days to 3 EURIBOR EUR 3 days to 3 LIBOR GBP 3 days to 3 Settlement type Optionality tional type APPENDIX B to National Instrument Mandaty Central Counterparty Clearing of Derivatives Laws, Regulations Instruments of Feign Jurisdictions Applicable f Substituted Compliance (Subsection 3(5)) Feign jurisdiction European Union United States of America Laws, regulations instruments Regulation (EU) 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade reposities Clearing Requirement and Related Rules, 17 C.F.R. pt. 50